Luc Bauwens : Citation Profile


Are you Luc Bauwens?

Université Catholique de Louvain

25

H index

46

i10 index

2609

Citations

RESEARCH PRODUCTION:

54

Articles

173

Papers

1

Books

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   36 years (1983 - 2019). See details.
   Cites by year: 72
   Journals where Luc Bauwens has often published
   Relations with other researchers
   Recent citing documents: 288.    Total self citations: 61 (2.28 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pba4
   Updated: 2020-08-09    RAS profile: 2020-06-27    
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Relations with other researchers


Works with:

Dufays, Arnaud (9)

Storti, Giuseppe (6)

Carpantier, Jean-François (4)

Otranto, Edoardo (3)

Koop, Gary (3)

Braione, Manuela (3)

Korobilis, Dimitris (3)

Yang, Yukai (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Luc Bauwens.

Is cited by:

McAleer, Michael (78)

Caporin, Massimiliano (49)

Rombouts, Jeroen (36)

Maheu, John (34)

Asai, Manabu (30)

Hafner, Christian (29)

Hautsch, Nikolaus (28)

Stentoft, Lars (26)

Dufays, Arnaud (24)

van Dijk, Herman (23)

Francq, Christian (22)

Cites to:

Engle, Robert (77)

Bollerslev, Tim (38)

Rombouts, Jeroen (31)

Shephard, Neil (25)

van Dijk, Herman (21)

Jasiak, Joann (20)

Andersen, Torben (17)

Teräsvirta, Timo (17)

Laurent, Sébastien (17)

Sheppard, Kevin (14)

Haas, Markus (14)

Main data


Where Luc Bauwens has published?


Journals with more than one article published# docs
Journal of Econometrics11
Computational Statistics & Data Analysis5
Journal of Applied Econometrics3
Econometrics Journal3
Empirical Economics3
Journal of Business & Economic Statistics3
Annals of Economics and Statistics3
Econometric Reviews2
Journal of Empirical Finance2
Journal of Business & Economic Statistics2
Journal of Applied Econometrics2
International Journal of Forecasting2
European Economic Review2

Working Papers Series with more than one paper published# docs
Discussion Papers (ECON - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques11
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles5
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute5
Computing in Economics and Finance 2002 / Society for Computational Economics3
Discussion Papers (REL - Recherches Economiques de Louvain) / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)3
Working Paper series / Rimini Centre for Economic Analysis2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economía2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany2

Recent works citing Luc Bauwens (2020 and 2019)


YearTitle of citing document
2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Amado, Cristina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26.

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2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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2019Dynamic Quantile Function Models. (2017). Sisson, Scott A ; Gerlach, Richard H ; Peters, Gareth W ; Ye, Wilson . In: Papers. RePEc:arx:papers:1707.02587.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). di Matteo, Tiziana ; Buonocore, Riccardo Junior ; Verma, Anshul. In: Papers. RePEc:arx:papers:1712.02138.

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2018New HSIC-based tests for independence between two stationary multivariate time series. (2018). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang. In: Papers. RePEc:arx:papers:1804.09866.

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2018When panic makes you blind: a chaotic route to systemic risk. (2018). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:1805.00785.

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2018Analytic Moments for GARCH Processes. (2018). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese. In: Papers. RePEc:arx:papers:1808.09666.

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2018State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1809.08060.

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2018General Compound Hawkes Processes in Limit Order Books. (2018). Huffman, Aiden ; Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1812.02298.

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2020Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Bayesian Nonparametric Adaptive Spectral Density Estimation for Financial Time Series. (2019). Cripps, Sally ; Gerlach, Richard ; Marchant, Roman ; James, Nick . In: Papers. RePEc:arx:papers:1902.03350.

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2019A changepoint approach for the identification of financial extreme regimes. (2019). Leonelli, Manuele ; Lattanzi, Chiara. In: Papers. RePEc:arx:papers:1902.09205.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: Papers. RePEc:arx:papers:1909.04661.

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2019Does the leverage effect affect the return distribution?. (2019). Chen, Dangxing. In: Papers. RePEc:arx:papers:1909.08662.

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2019Structural Change Analysis of Active Cryptocurrency Market. (2019). Ng, K H ; Koh, Y B ; Tan, C Y. In: Papers. RePEc:arx:papers:1909.10679.

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2019The Numerical Simulation of Quanto Option Prices Using Bayesian Statistical Methods. (2019). Wu, Jianhong ; Gao, Rui ; Li, Yaqiong ; Lin, Lisha. In: Papers. RePEc:arx:papers:1910.04075.

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2019A multifactor regime-switching model for inter-trade durations in the limit order market. (2019). Xing, Haipeng ; Li, Zhicheng ; Chen, Xinyun. In: Papers. RePEc:arx:papers:1912.00764.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020Investigating the influence Brexit had on Financial Markets, in particular the GBP/EUR exchange rate. (2020). Filletti, Michael. In: Papers. RePEc:arx:papers:2003.05895.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2018COMPETITIVENESS OF UKRAINIAN EXPORT-ORIENTED FIELDS. (2018). Toryanyk, Volodymyr ; Namliyev, Yevhen ; Dzhyndzhoian, Vladimir. In: Baltic Journal of Economic Studies. RePEc:bal:journl:2256-0742:2018:4:3:46.

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2019Multivariate Fractional Components Analysis. (2019). Weigand, Roland ; Hartl, Tobias. In: University of Regensburg Working Papers in Business, Economics and Management Information Systems. RePEc:bay:rdwiwi:38283.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2018Asset price volatility in EU-6 economies: how large is the role played by the ECB?. (2018). Colabella, Andrea ; Ciarlone, Alessio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1175_18.

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2020Food–oil volatility spillovers and the impact of distinct biofuel policies on price uncertainties on feedstock markets. (2020). Saucedo, Alberto ; Herwartz, Helmut. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:3:p:387-402.

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2018TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250.

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2017Economists, Research Performance and National Inbreeding: North Versus South. (2017). Panagiotidis, Theodore ; Zontanos, Costas ; Katranidis, Stelios . In: Economic Notes. RePEc:bla:ecnote:v:46:y:2017:i:1:p:145-163.

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2018Experience and Brokerage in Asset Markets: Evidence from Art Auctions. (2018). Bruno, Brunella ; Nocera, Giacomo ; Garciaappendini, Emilia. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:4:p:833-864.

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2020Large Time-Varying Volatility Models for Electricity Prices. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Working Papers. RePEc:bny:wpaper:0088.

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2017Stock markets volatility spillovers during financial crises: A DCC-MGARCH with skewed-t density approach. (2017). Balaa, Dahiru A ; Takimotob, Taro . In: Borsa Istanbul Review. RePEc:bor:bistre:v:17:y:2017:i:1:p:25-48.

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2017Nonstationary autoregressive conditional duration models. (2017). Anuj, Mishra ; Variyam, Ramanathan Thekke. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:22:n:2.

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2018Illiquidity and Volatility Spillover effects in Equity Markets during and after the Global Financial Crisis: an MEM approach. (2018). Xu, Yongdeng ; Taylor, Nick ; Lu, Wenna. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2018/6.

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2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

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2018Superstar Economists: Coauthorship Networks and Research Output. (2018). Zimmermann, Christian ; Liu, Xiaodong ; Hsieh, Chih-Sheng ; Konig, Michael D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7309.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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2018Superstar Economists: Coauthorship networks and research output. (2018). Zimmermann, Christian ; Liu, Xiaodong ; Konig, Michael ; Hsieh, Chih-Sheng. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13239.

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2020Art as an Asset: Evidence from Keynes the Collector. (2020). Dimson, Elroy ; Chambers, David. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14357.

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2018Spatial Mobility in Elite Academic Institutions in Economics : the Case of Spain. (2018). Ruiz-Castillo, Javier ; carrasco, raquel ; Perea, Raquel Carrasco ; Ucelay, Javier Ruiz-Castillo. In: UC3M Working papers. Economics. RePEc:cte:werepe:26093.

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2019Comparing Forecasts of Extremely Large Conditional Covariance Matrices. (2019). Ruiz, Esther ; Moura, Guilherme. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:29291.

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2019Multivariate Analysis of East African Currency Exchange Rate Dynamics. (2019). Shiferaw, Yegnanew A. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:2:shiferaw.

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2017On log-symmetric duration models applied to high frequency financial data. (2017). Saulo, Helton ; Leo, Jeremias . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00030.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2019Volatility Spillovers among the Cryptocurrency Time Series. (2019). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim ; Alsaggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-7.

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2019Modelling bimodality of length of tourist stay. (2019). Perez-Rodriguez, J V ; Gomez-Deniz, E. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:131-151.

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2018New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries. (2018). Tsuji, Chikashi. In: Applied Energy. RePEc:eee:appene:v:229:y:2018:i:c:p:1202-1217.

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2019Stock and bond returns correlation in Korea: Local versus global risk during crisis periods. (2019). Ho, Young ; Fang, Zhongzheng ; Park, Keehwan. In: Journal of Asian Economics. RePEc:eee:asieco:v:65:y:2019:i:c:s1049007818303282.

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2019Modeling financial durations using penalized estimating functions. (2019). Zhang, Yaohua ; Thavaneswaran, Aerambamoorthy ; Ravishanker, Nalini ; Zou, Jian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:145-158.

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2020A two-piece normal measurement error model. (2020). Santoro, Karol ; Ferreira, Clecio S ; Azzalini, Adelchi ; Arellano-Valle, Reinaldo B. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:144:y:2020:i:c:s016794731930218x.

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2019When panic makes you blind: A chaotic route to systemic risk. (2019). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:176-199.

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2019Improving forecasts with the co-range dynamic conditional correlation model. (2019). Fiszeder, Piotr ; Fadziski, Marcin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188919301356.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2019Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:234-250.

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2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

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2018Optimal hedge ratios for clean energy equities. (2018). Ahmad, Wasim ; Sharma, Amit ; Sadorsky, Perry. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:278-295.

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2018Return transmission and asymmetric volatility spillovers between oil futures and oil equities: New DCC-MEGARCH analyses. (2018). Tsuji, Chikashi. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:167-185.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2019On the asymmetric impact of macro–variables on volatility. (2019). Amendola, Alessandra ; Gallo, Giampiero M ; Candila, Vincenzo. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:135-152.

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2019International trade, foreign direct investments, and firms’ systemic risk : Evidence from the Netherlands. (2019). Braekers, Roel ; Vancauteren, Mark ; van Cauwenberge, Annelies ; Vandemaele, Sigrid . In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:361-386.

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2020Financialization of agricultural commodities: Evidence from China. (2020). Ouyang, Ruolan ; Zhang, Xuan. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:381-389.

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2020Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend. (2020). Rumler, Fabio ; Mihailov, Alexander ; McKnight, Stephen. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:383-393.

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2018Which information matters to market risk spreading in Brazil? Volatility transmission modelling using MGARCH-BEKK, DCC, t-Copulas. (2018). de Oliveira, Felipe A ; Da, Cassio ; de Jesus, Diego P ; Maia, Sinezio F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:83-100.

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2018Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186.

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2020Returns, volatility and spillover – A paradigm shift in India?. (2020). Sampath, Aravind ; Dey, Shubhasis. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819304061.

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2020Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). Rodríguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607.

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2018Auctions, market efficiency, and the trade in second-hand and antique silver. (2018). Draper, Paul ; Clacher, Iain ; de Ricquebourg, Alan Duboisee. In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:45-48.

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2018Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space. (2018). Augustyniak, Maciej ; Dufays, Arnaud. In: Economics Letters. RePEc:eee:ecolet:v:170:y:2018:i:c:p:122-126.

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2019Indirect measures of trade costs: Limitations and caveats. (2019). Gervais, Antoine. In: Economics Letters. RePEc:eee:ecolet:v:176:y:2019:i:c:p:96-102.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2019Testing for structural breaks in factor copula models. (2019). Wied, Dominik ; Stark, Florian ; Manner, Hans. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:324-345.

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2019Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors. (2019). Jensen, Mark ; Fisher, Mark. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:187-202.

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2019Importance sampling from posterior distributions using copula-like approximations. (2019). Tsionas, Mike ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:45-57.

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2019Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty. (2019). Babii, Andrii ; Ghysels, Eric ; Chen, XI. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:47-77.

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2019Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (2019). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:493-515.

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2020Modeling time series when some observations are zero. (2020). Harvey, Andrew ; Ito, Ryoko. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:33-45.

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2020Nonparametric filtering of conditional state-price densities. (2020). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:295-325.

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2020Dynamic conditional angular correlation. (2020). Chan, Kung-Sik ; Jarjour, Riad. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:137-150.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2020Relevant parameter changes in structural break models. (2020). Dufays, Arnaud. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:46-78.

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2019Flexible dynamic vine copula models for multivariate time series data. (2019). Lysy, Martin ; Czado, Claudia ; Acar, Elif F. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:181-197.

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2019Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2019). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:42-65.

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2020Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity. (2020). Omori, Yasuhiro ; Kurose, Yuta. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:46-68.

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2018Volatility forecasting using global stochastic financial trends extracted from non-synchronous data. (2018). Peresetsky, Anatoly ; Ortega, Juan-Pablo ; Grigoryeva, Lyudmila. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:67-82.

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2018Copula based multivariate semi-Markov models with applications in high-frequency finance. (2018). Damico, Guglielmo ; Petroni, Filippo. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:2:p:765-777.

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2019Multi-objective optimization using statistical models. (2019). Tsionas, Mike. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:1:p:364-378.

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2018A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets. (2018). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed . In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:143-161.

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2018Risk contribution of the Chinese stock market to developed markets in the post-crisis period. (2018). Yu, Honghai ; Du, Donglei ; Sun, Boyang ; Fang, Libing. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:87-97.

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2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

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2019Hierarchical GARCH. (2019). Brownlees, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:17-27.

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2019Exponential smoothing of realized portfolio weights. (2019). Seifert, Miriam Isabel ; Gribisch, Bastian ; Golosnoy, Vasyl. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:222-237.

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2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

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2017Oil prices and stock markets: Does the effect of uncertainty change over time?. (2017). Park, Sung Y. ; Joo, Young C. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:42-51.

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2018Markov switching GARCH models for Bayesian hedging on energy futures markets. (2018). Billio, Monica ; Osuntuyi, Anthony ; Casarin, Roberto. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:545-562.

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2018The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies. (2018). Ratti, Ronald ; Kang, Wensheng ; Ewing, Bradley T. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:505-516.

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2018Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298.

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More than 100 citations found, this list is not complete...

Luc Bauwens has edited the books:


YearTitleTypeCited

Works by Luc Bauwens:


YearTitleTypeCited
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
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paper33
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
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paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: CORE Discussion Papers.
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paper
2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics.
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article
2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche.
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paper
2018State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering In: CREATES Research Papers.
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paper0
2018State-space models on the Stiefel Manifold with a new approach to nonlinear filtering.(2018) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 0
paper
2018State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering.(2018) In: Econometrics.
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article
1991Bayesian Diagnostics for Heterogeneity In: Annals of Economics and Statistics.
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article1
1991Bayesian diagnostics for heterogeneity.(1991) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 1
paper
1991The pathologie of the Natural Conjugate Prior Density in the Regression Model In: Annals of Economics and Statistics.
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article1
1991The pathology of the natural conjugate prior density in the regression model.(1991) In: CORE Discussion Papers RP.
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paper
1990THE PATHOLOGY OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL..(1990) In: G.R.E.Q.A.M..
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paper
2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics.
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article42
2000The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: CORE Discussion Papers RP.
[Citation analysis]
This paper has another version. Agregated cites: 42
paper
1989BAYESIAN LIMITED INFORMATION ANALYSIS REVISITED In: Econometric Institute Archives.
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paper0
1994Estimating End-Use Demand: A Bayesian Approach. In: Journal of Business & Economic Statistics.
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article15
1992Estimating End-Use Demand : A Bayesian Approach.(1992) In: CORE Discussion Papers.
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paper
1994Estimating End-use Demand: a Bayesian Approach.(1994) In: CORE Discussion Papers RP.
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paper
1992Estimating end-use demand: A Bayesian approach.(1992) In: UC3M Working papers. Economics.
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paper
2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics.
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article93
2005A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.(2005) In: CORE Discussion Papers RP.
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This paper has another version. Agregated cites: 93
paper
2009A Component GARCH Model with Time Varying Weights In: Studies in Nonlinear Dynamics & Econometrics.
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article25
2007A component GARCH model with time varying weights.(2007) In: CORE Discussion Papers.
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paper
2009A component GARCH model with time varying weights.(2009) In: CORE Discussion Papers RP.
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paper
2007A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2006A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006.
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paper
2011The Resistible Decline of European Science In: Recherches économiques de Louvain.
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article12
2007The resistible decline of European science.(2007) In: CORE Discussion Papers.
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paper
2011The resistible decline of European Science.(2011) In: CORE Discussion Papers RP.
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paper
2008The Resistible Decline of European Science.(2008) In: CEPR Discussion Papers.
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paper
2011The Resistible Decline of European Science.(2011) In: Discussion Papers (REL - Recherches Economiques de Louvain).
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paper
2011The resistible decline of European science.(2011) In: LSE Research Online Documents on Economics.
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paper
2019DCC-HEAVY: a multivariate GARCH model based on realized variances and correlations In: Cardiff Economics Working Papers.
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paper0
2019DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations.(2019) In: CORE Discussion Papers.
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paper
2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
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paper49
2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper series.
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paper
2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
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paper
2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: CORE Discussion Papers.
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paper
2011A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers.
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paper
2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
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paper
2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
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article
2013Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS.
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paper11
2013Modeling the dependence of conditional correlations on volatility.(2013) In: CORE Discussion Papers.
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paper
2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics In: Working Paper CRENoS.
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paper0
2018Nonlinearities and regimes in conditional correlations with different dynamics.(2018) In: CORE Discussion Papers.
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paper
1987Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods. In: CORE Discussion Papers.
[Citation analysis]
paper30
1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: CORE Discussion Papers RP.
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paper
1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: Journal of Econometrics.
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article
1992Approximate HPD regions for testing residual autocorrelation using augmented regressions In: CORE Discussion Papers.
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paper0
1993Approximate HPD regions for testing residual autocorrelation using augmented regressions.(1993) In: CORE Discussion Papers RP.
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paper
1994Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems In: CORE Discussion Papers.
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paper18
1996Identification restrictions and posterior densities in cointegrated Gaussian VAR system.(1996) In: CORE Discussion Papers RP.
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paper
1994Do Art Experts make Rational Estimates of Pre-Sale Prices ? In: CORE Discussion Papers.
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paper0
1995On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors In: CORE Discussion Papers.
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paper0
1996Bayesian Inference on GARCH Models using the Gibbs Sampler In: CORE Discussion Papers.
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paper86
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: CORE Discussion Papers RP.
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paper
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: Econometrics Journal.
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article
1996Bayesian Inference on GARCH Models Using the Gibbs Sampler..(1996) In: G.R.E.Q.A.M..
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paper
1997A Gibbs sampling approach to cointegration In: CORE Discussion Papers.
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paper5
1998Gibbs sampling approach to cointegration.(1998) In: CORE Discussion Papers RP.
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paper
1997Bayesian option pricing using asymmetric GARCH In: CORE Discussion Papers.
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paper3
1997Bayesian Option Pricing Using Asymmetric GARCH.(1997) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has another version. Agregated cites: 3
paper
1997Modelling interest rates with a cointegrated VAR-GARCH model In: CORE Discussion Papers.
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paper5
1997The logarithmic ACD model: an application to market microstructure and NASDAQ In: CORE Discussion Papers.
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paper1
1998Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: CORE Discussion Papers.
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paper3
1999Adaptive polar sampling with an application to a Bayes measure of value-at-risk In: CORE Discussion Papers.
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paper4
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Econometric Institute Research Papers.
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paper
2000ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK.(2000) In: Computing in Economics and Finance 2000.
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paper
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Tinbergen Institute Discussion Papers.
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paper
1999The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: CORE Discussion Papers.
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paper69
2004The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository.
[Citation analysis]
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paper
2000Identifying long-run behaviour with non-stationary data. In: CORE Discussion Papers.
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paper0
2000A comparison of financial duration models via density forecasts In: CORE Discussion Papers.
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paper99
2004A comparison of financial duration models via density forecasts.(2004) In: CORE Discussion Papers RP.
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paper
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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paper
2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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article
2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
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paper
2002A new class of multivariate skew densities, with application to GARCH models In: CORE Discussion Papers.
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paper34
2002A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002.
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paper
2003The moments of Log-ACD models In: CORE Discussion Papers.
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2009The moments of Log-ACD models.(2009) In: CORE Discussion Papers RP.
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paper
2003News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: CORE Discussion Papers.
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2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: CORE Discussion Papers RP.
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paper
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 93
article
2003Multivariate GARCH models: a survey In: CORE Discussion Papers.
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paper805
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
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article
2006Multivariate GARCH models: a survey.(2006) In: CORE Discussion Papers RP.
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paper
2003Ranking economics departments in Europe: a statistical approach In: CORE Discussion Papers.
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2003Ranking economics departments in Europe: a statistical approach.(2003) In: CORE Discussion Papers RP.
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paper
2003Ranking Economics Departments in Europe: A Statistical Approach.(2003) In: Journal of the European Economic Association.
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article
2003Bayesian clustering of many GARCH models In: CORE Discussion Papers.
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2007Bayesian clustering of many GARCH models.(2007) In: CORE Discussion Papers RP.
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paper
2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
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article
2003Dynamic latent factor models for intensity processes In: CORE Discussion Papers.
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2005Exchange rate volatility and the mixture of distribution hypothesis In: CORE Discussion Papers.
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paper22
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: CORE Discussion Papers RP.
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paper
2005Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics.
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2005Bayesian inference for the mixed conditional heteroskedasticity model In: CORE Discussion Papers.
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2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: CORE Discussion Papers RP.
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paper
2005Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
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article
2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
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paper
2006Intra-daily FX optimal portfolio allocation In: CORE Discussion Papers.
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paper2
2006Intra-Daily FX Optimal Portfolio Allocation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006Regime switching GARCH models In: CORE Discussion Papers.
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paper13
2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
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paper
2006Multivariate mixed normal conditional heteroskedasticity In: CORE Discussion Papers.
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2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: CORE Discussion Papers RP.
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paper
2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
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article
2006General to specific modelling of exchange rate volatility: a forecast evaluation In: CORE Discussion Papers.
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paper16
2006General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2010General-to-specific modelling of exchange rate volatility: a forecast evaluation.(2010) In: CORE Discussion Papers RP.
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paper
2008General to specific modelling of exchange rate volatility : a forecast evaluation.(2008) In: UC3M Working papers. Economics.
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paper
2010General-to-specific modelling of exchange rate volatility: A forecast evaluation.(2010) In: International Journal of Forecasting.
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article
2006Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market In: CORE Discussion Papers.
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paper9
2007Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market.(2007) In: CORE Discussion Papers RP.
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2006Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2007Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market.(2007) In: Econometric Reviews.
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article
2006Modelling financial high frequency data using point processes In: CORE Discussion Papers.
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paper27
2009Modelling financial high frequency data using point processes.(2009) In: CORE Discussion Papers RP.
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paper
2006Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2007Modelling Financial High Frequency Data Using Point Processes.(2007) In: SFB 649 Discussion Papers.
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paper
2007Efficient importance sampling for ML estimation of SCD models In: CORE Discussion Papers.
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paper18
2009Efficient importance sampling for ML estimation of SCD models.(2009) In: CORE Discussion Papers RP.
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paper
2007Efficient importance sampling for ML estimation of SCD models.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2009Efficient importance sampling for ML estimation of SCD models.(2009) In: Computational Statistics & Data Analysis.
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article
2007Theory and inference for a Markov switching GARCH model In: CORE Discussion Papers.
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paper49
2010Theory and inference for a Markov switching Garch model.(2010) In: CORE Discussion Papers RP.
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paper
2007Theory and inference for a Markov switching GARCH model.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
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paper
2010Theory and inference for a Markov switching GARCH model.(2010) In: Econometrics Journal.
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2007Theory and inference for a Markov switching Garch model..(2007) In: Cahiers de recherche.
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2007Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche.
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paper
2009On marginal likelihood computation in change-point models In: CORE Discussion Papers.
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paper9
2012On marginal likelihood computation in change-point models.(2012) In: CORE Discussion Papers RP.
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2012On marginal likelihood computation in change-point models.(2012) In: Computational Statistics & Data Analysis.
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2009On Marginal Likelihood Computation in Change-point Models.(2009) In: Cahiers de recherche.
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paper
2011Multivariate volatility modeling of electricity futures In: CORE Discussion Papers.
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paper40
2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
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2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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2011Estimating and forecasting structural breaks in financial time series In: CORE Discussion Papers.
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2011Volatility models In: CORE Discussion Papers.
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2011Bayesian methods In: CORE Discussion Papers.
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2013Bayesian methods.(2013) In: Chapters.
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2012Computationally efficient inference procedures for vast dimensional realized covariance models In: CORE Discussion Papers.
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2013Computationally efficient inference procedures for vast dimensional realized covariance models.(2013) In: CORE Discussion Papers RP.
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2012Forecasting long memory processes subject to structural breaks In: CORE Discussion Papers.
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2013Forecasting a long memory process subject to structural breaks.(2013) In: Journal of Econometrics.
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2012Dynamic conditional correlation models for realized covariance matrices In: CORE Discussion Papers.
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2014Estimation and empirical performance of non-scalar dynamic conditional correlation models In: CORE Discussion Papers.
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